4/27/22, 5:49 AM SpotGamma Report for: 04/27/2022 AM | SpotGamma™

ABOUT
SUBSCRIBE NOW
ACADEMY
FREE RESOURCES
MEMBERS
AP R 2 7 2 0 2 2

SpotGamma Report for: 04/27/2022

AM
Macro Theme:
A sustained rally is unlikely to occur until May 4th which holds the FOMC &
Russian default. Due to these events, volatility (i.e. large puts) is unlikely to be meaningfully
sold. This prevents an extended rise in equities.
We see substantial, longer-term support at 4050.

Daily Note:
Futures are trading at 4190 up from overnight lows of 4135. Our volatility estimate remains in line with yesterday: 1.2%
open/close for the S&P500. Resistance is at 420 SPY/4200SPX, followed by 4250. Support lies at 4100.

While 4200 support put up a solid fight yesterday, it failed into the close. This was spurred on by major weakness in
tech. This was headlined by the -12% decline in TSLA, but heavy selling was across the board. As many of you are well
aware, the top member weightings in the S&P500 are tech.

The big takeaway from an options perspective is the “roll down” continues – a signal that options traders are accepting
these lower prices. Yesterday AM we discussed the map wherein the key level was originally 4400, and that key level
shifted down to 4300. Today it appears that flow filled in on the call and put side at 420SPY, and to a lesser extent 4200
SPX. The market is stair-stepping lower, and the options flow is going with it.

It is of note that we are starting to see some chunkier call positions being added in the 4400-4500 area.

Support

https://spotgamma.com/spotgamma-report-for-04-27-2022-am/ 1/7
4/27/22, 5:49 AM SpotGamma Report for: 04/27/2022 AM | SpotGamma™

ABOUT
SUBSCRIBE NOW
ACADEMY
FREE RESOURCES
MEMBERS

Overall, this price action is in line with our expectations and we are still focused on 5/4 as a key date (read here). We
continue to view the 4000-4050 area as major options-induced support, and its possible we see the market compress
into this level as we approach 5/4/22. A snap back short cover rally could happen rather quickly into 4300, but below
4200 we’re subject to that reflexive feedback loop of dealers shorting which leads to lower prices, and more dealer
shorting.

We think the lower the market goes into 5/4, the better the odds of a snapback relief rally. As implied volatility goes
higher, traders need increasingly larger moves to justify payoffs. Unless we get a major Russian default and uber-
hawkish Fed, there could be a nice bounce higher driven simply from extreme sentiment.

Lastly, together with @TheLastBearStanding we put together a video analyzing Elon Musk’s TWTR loan details, and its
potential impact on the stock. Its a rather interesting situation…

Margin Call: TSLA Edition | SpotGamma

Support

https://spotgamma.com/spotgamma-report-for-04-27-2022-am/ 2/7
4/27/22, 5:49 AM SpotGamma Report for: 04/27/2022 AM | SpotGamma™

SpotGamma Latest
Previous SPY NDX QQQ
Proprietary Levels Data
ABOUT
SUBSCRIBE NOW
ACADEMY
FREE RESOURCES
MEMBERS
Ref Price: 4175 4175 416 13009 317

SpotGamma Imp. 1 Day Move:

VIX 1 Day Impl.
Est 1 StdDev Open to Close Range
1.22%, (±pts): 51.0
Move:2.05%

4271 (Monday Range: 4158.0 |

SpotGamma Imp. 5 Day Move: 2.67%
Ref Px) 4386.0

SpotGamma Gamma Index™: -1.68 -1.13 -0.39 -0.02 -0.13

Volatility Trigger™: 4450 4400 445 14000 345

SpotGamma Absolute Gamma Strike: 4000 4000 420 14050 325

Gamma Notional(MM): -830.0 -897.28 -1631.0 -2.0 -618.0

Additional Key Levels Latest Data Previous SPY NDX QQQ

Zero Gamma Level: 4462 4497 0 0 0

Put Wall Support: 4100 4100 410 13000 300

Call Wall Strike: 4750 4750 423 14050 321

CP Gam Tilt: 0.54 0.5 0.45 0.77 0.58

Delta Neutral Px: 4445      

Net Delta(MM): $1,663,177 $1,576,013 $186,786 $42,022 $115,441

25D Risk Reversal -0.13 -0.1 -0.12 0.0 -0.17

Call Volume 485,618 582,692 2,615,219 8,117 1,703,622

Put Volume 872,774 1,186,435 3,715,388 4,610 1,765,184

Call Open Interest 4,972,093 4,946,543 6,080,135 46,032 4,081,098

Put Open Interest 9,592,913 9,434,983 10,534,565 49,419 6,531,582

Key Support & Resistance Strikes:

SPX: [4400, 4300, 4200, 4000]

Support
SPY: [430, 420, 410, 400]

https://spotgamma.com/spotgamma-report-for-04-27-2022-am/ 3/7
4/27/22, 5:49 AM SpotGamma Report for: 04/27/2022 AM | SpotGamma™

QQQ: [330, 325, 320, 300]

NDX:[14500, 14050, 14000, 13000]

SPX Combo (strike, %ile): [4100.0, 4200.0, 4150.0, 4108.0, 4250.0]

ABOUT
SUBSCRIBE NOW
ACADEMY
FREE RESOURCES
MEMBERS

SPY Combo: [408.61, 418.6, 413.6, 409.44, 423.59]

NDX Combo: [12710.0, 13335.0, 13127.0, 12919.0]

Sub Login

Support

Follow @SpotGamma

Strike Charts

Historical Chart

Gamma Expiration Tool

Support

https://spotgamma.com/spotgamma-report-for-04-27-2022-am/ 4/7
4/27/22, 5:49 AM SpotGamma Report for: 04/27/2022 AM | SpotGamma™

ABOUT
SUBSCRIBE NOW
ACADEMY
FREE RESOURCES
MEMBERS

Support

https://spotgamma.com/spotgamma-report-for-04-27-2022-am/ 5/7
4/27/22, 5:49 AM SpotGamma Report for: 04/27/2022 AM | SpotGamma™

ABOUT
SUBSCRIBE NOW
ACADEMY
FREE RESOURCES
MEMBERS

©TenTen Capital LLC d.b.a. SpotGamma

Please leave us a review: Click Here

See the FAQ for more information on reading the SpotGamma graph.

SpotGamma provides this information for research purposes only. It is not investment advice. SpotGamma is not qualified to provide investment

advice, nor does it guarantee the accuracy of the information provided.

This email is intended solely for subscribers, please do not distribute the information without the express written consent of SpotGamma.com.

   

Written by SpotGamma · Categorized: Daily Note

Popular Posts
Weaponized Gamma Reloaded
January 31, 2021

Anatomy Of A Short Squeeze: This Is How Hedge Funds Pounce On Retail Meme Stonks
June 9, 2021

Support

https://spotgamma.com/spotgamma-report-for-04-27-2022-am/ 6/7